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New directions in econometric practice : general to specific modelling, cointegration and vector autoregression

Charemza, Wojciech; Deadman, Derek F. - 1997 - 2. ed.

Persistent link: https://www.econbiz.de/10000613833

Effects of asymmetric adjustment among labor productivity, labor demand, and exchange rate using threshold cointegration test

Chang, Shu Chen - In: Emerging markets finance & trade : a journal of the … 46 (2010) 6, pp. 55-68

Persistent link: https://www.econbiz.de/10009238983

Oil and food prices co-intergration nexus for Indonesia : a non-linear autoregressive distributed lag analysis

Abdlaziz, Rizgar Abdlkarim; Khalid Bin Abdul Rahim; … - In: International Journal of Energy Economics and Policy : IJEEP 6 (2016) 1, pp. 82-87

Persistent link: https://www.econbiz.de/10011448235

On the power and size properties of cointegration tests in the light of high-frequency stylized facts

Krauss, Christopher; Herrmann, Klaus - In: Journal of risk and financial management : JRFM 10 (2017) 1, pp. 1-24

used to model the cointegration relationship. In a Monte Carlo simulation, the power and size properties of ten … cointegration tests are assessed. We find that in high-frequency settings typical for stock price data, power is still acceptable …

Persistent link: https://www.econbiz.de/10011619116

Portmanteau-type tests for unit-root and cointegration

Zhang, Rongmao; Chan, Ngai Hang - In: Journal of econometrics 207 (2018) 2, pp. 307-324

Persistent link: https://www.econbiz.de/10012116354

Robust inference for spurious regressions and cointegrations involving processes moderately deviated from a unit root

Lin, Yingqian; Tu, Yundong - In: Journal of econometrics 219 (2020) 1, pp. 52-65

Persistent link: https://www.econbiz.de/10012483188

Cointegration in functional autoregressive processes

Franchi, Massimo; Paruolo, Paolo - In: Econometric theory 36 (2020) 5, pp. 803-839

Persistent link: https://www.econbiz.de/10012307240

Best linear prediction in cointegrated systems

Kim, Yun-Yeong - In: Essays in honor of Joon Y. Park : econometric theory, (pp. 367-391). 2023

Persistent link: https://www.econbiz.de/10014313816

On the long-run sustainability of current account deficits in India : some insights from linear and non-linear cointegration tests

Deheri, Abdhut - In: The Indian economic journal 72 (2024) 4, pp. 585-601

Persistent link: https://www.econbiz.de/10014632369

Nonlinear persistence and copersistence

Gouriéroux, Christian; Jasiak, Joann - 1999

Persistent link: https://www.econbiz.de/10001485343